DEO vs. SOXX
DEO (Diageo plc ADR) is a stock, while SOXX (iShares Semiconductor ETF) is Semiconductors fund tracking the NYSE Semiconductor Index. Over the past 10 years, DEO returned -0.07%/yr vs 32.54%/yr for SOXX. Their 0.31 correlation means their historical movements had little consistent relationship.
Performance
DEO vs. SOXX - Performance Comparison
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Returns By Period
In the year-to-date period, DEO achieves a 3.54% return, which is significantly lower than SOXX's 76.42% return. Over the past 10 years, DEO has underperformed SOXX with an annualized return of -0.07%, while SOXX has yielded a comparatively higher 32.54% annualized return.
DEO
- 1D
- 0.68%
- 1M
- 8.28%
- 6M
- -8.16%
- YTD
- 3.54%
- 1Y
- -9.87%
- 3Y*
- -16.98%
- 5Y*
- -12.60%
- 10Y*
- -0.07%
- ALL TIME*
- 7.46%
SOXX
- 1D
- -2.12%
- 1M
- -8.74%
- 6M
- 60.81%
- YTD
- 76.42%
- 1Y
- 123.34%
- 3Y*
- 46.84%
- 5Y*
- 28.89%
- 10Y*
- 32.54%
- ALL TIME*
- 14.05%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $104.69M | $87.47M | $94.25M | |
| $6.41B | $5.67B | $5.91B |
DEO vs. SOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc ADR | 3.54% | -29.31% | -10.09% | -16.28% | -17.40% | 41.72% | -3.26% | 21.39% | -0.43% | 44.13% |
SOXX iShares Semiconductor ETF | 76.42% | 40.74% | 12.92% | 67.12% | -35.09% | 44.09% | 52.72% | 62.42% | -6.49% | 39.79% |
Correlation
The correlation between DEO and SOXX is -0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.08 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.22 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.25 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2001 | 0.31 |
The correlation between DEO and SOXX shifts across timeframes, from -0.08 (1 year) to 0.31 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DEO vs. SOXX — Risk / Return Rank
DEO
SOXX
DEO vs. SOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Diageo plc ADR (DEO) and iShares Semiconductor ETF (SOXX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DEO | SOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.07 | ||
| Sortino ratioReturn per unit of downside risk | -3.22 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.41 | -0.43 |
| Calmar ratioReturn relative to maximum drawdown | -0.28 | 4.28 | -4.56 |
| Martin ratioReturn relative to average drawdown | -0.45 | 17.18 | -17.63 |
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Drawdowns
DEO vs. SOXX - Drawdown Comparison
The maximum DEO drawdown since its inception was -63.41%, smaller than the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for DEO and SOXX.
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Drawdown Indicators
| DEO | SOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.41% | -70.21% | +6.80% |
Max Drawdown (1Y)Largest decline over 1 year | -35.52% | -29.01% | -6.51% |
Max Drawdown (3Y)Largest decline over 3 years | -54.50% | -41.36% | -13.14% |
Max Drawdown (5Y)Largest decline over 5 years | -63.41% | -45.75% | -17.66% |
Max Drawdown (10Y)Largest decline over 10 years | -63.41% | -45.75% | -17.66% |
Current DrawdownCurrent decline from peak | -54.90% | -18.98% | -35.92% |
Average DrawdownAverage peak-to-trough decline | -13.23% | -19.92% | +6.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 22.06% | 7.21% | +14.85% |
Volatility
DEO vs. SOXX - Volatility Comparison
The current volatility for Diageo plc ADR (DEO) is 8.59%, while iShares Semiconductor ETF (SOXX) has a volatility of 17.65%. This indicates that DEO experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DEO | SOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.59% | 17.65% | -9.06% |
Volatility (6M)Calculated over the trailing 6-month period | 27.33% | 39.14% | -11.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 32.97% | 44.84% | -11.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.20% | 38.38% | -13.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.48% | 34.61% | -11.13% |
Dividends
DEO vs. SOXX - Dividend Comparison
DEO's dividend yield for the trailing twelve months is around 3.75%, more than SOXX's 0.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEO Diageo plc ADR | 3.75% | 4.80% | 3.26% | 2.77% | 2.16% | 1.82% | 2.29% | 2.07% | 2.51% | 2.18% | 3.00% | 3.13% |
SOXX iShares Semiconductor ETF | 0.28% | 0.57% | 0.67% | 0.78% | 1.26% | 0.64% | 0.81% | 1.23% | 1.37% | 0.90% | 1.08% | 1.29% |
Frequently Asked Questions
DEO and SOXX have a correlation of -0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXX has higher volatility (17.65%) compared to DEO (8.59%). In terms of maximum drawdown, DEO dropped -63.41% vs SOXX's -70.21%.
SOXX currently has the higher Sharpe Ratio (2.77 vs -0.30), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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